Re: [Quantlib-dev] [Quantlib-users] Curves over Eonia

[SK A <ska...@go...>]

Hi Nando,

Thanks for the answer. It worked, I could bootstrapp a Euribor over
eonia curve.

What about the stochastic modelling of basis spread, is there already an
implementation or ongoing work or any plan to incorporate it?

Regards,
Kaya


On Wed, Aug 10, 2011 at 11:32 AM, Ferdinando Ametrano <na...@am...>wrote:

> Hi Kaya
>
> > It seems that the iterative
> > bootstrapping algorithm uses the same curve for forwards and discounting.
>
> the iterative boostrapping algorithm bootstrap just one curve but
> delegates to the bootstrap-helper how to use it. It's completely
> feasible for the helper to use the curve being bootstrapped for
> forwarding and a different curve for boostrapping. This is already
> done, e.g. SawpRateHelper
>
> On Mon, Aug 8, 2011 at 9:54 PM, sarpkacar <ska...@go...>
> wrote:
> > I am interested in bootstrapping  tenor specific forward  curves over
> Eonia,
> > matching the corresponding swap quotes in the market. Is it possible to
> do
> > this in QL?
>
> It is already done in QLXL, but it is not documented. You can
> implement your own stuff or investigate what's available using
> QuantLibXL.xla
>
> > What I need is, for example  given Eonia discount curve, bootstrap a 3M
> > forward curve to match  quoted 3M swap rates. Is it possible to separate
> in
> > QL discount and forward curves?
>
> yes it is, see also my slides on the issue (all the charts have been
> done using QLXL implementation):
> http://www.statpro.com/PDF/RateCurves-final.pdf
>
> ciao -- Nando
>